Downside risk

Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the… (More)
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Papers overview

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2009
2009
The process of risk management for institutional investors faces two challenges. First, since most institutions are decentralized… (More)
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Highly Cited
2008
Highly Cited
2008
Coordinating supply chains has been a major issue in supply chain management research. This paper focuses on the coordination of… (More)
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2008
2008
We study the feasibility and noise sensitivity of portfolio optimization under some downside risk measures (Value-at-Risk… (More)
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Highly Cited
2007
Highly Cited
2007
This paper presents two fuzzy portfolio selection models where the objective is to minimize the downside risk constrained by a… (More)
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2007
2007
Portfolio construction seeks an optimal trade-off between a portfolio’s mean return and its associated risk. Given that risk may… (More)
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2007
2007
For over 30 years academics and practitioners have been debating the merits of the CAPM. One of the characteristics of this model… (More)
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2005
2005
The paper characterizes a family of downside risk measures. They depend on a target value and a parameter reflecting the attitude… (More)
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Highly Cited
2004
Highly Cited
2004
Agents that place greater weight to the risk of losses on the downside than they are attracted to upside gains demand greater… (More)
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2000
2000
A safety-first investor maximizes expected return subject to a downside risk constraint. w Arzac and Bawa Arzac, E.R., Bawa, V.S… (More)
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Highly Cited
1998
Highly Cited
1998
  • Jens Carsten Jackwerth
  • 1998
A relationship exists between aggregate risk-neutral and subjective probability distributions and risk aversion functions. We… (More)
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